This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, ...

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on ...

Dowd, Kevin; Cotter, John(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05)

This paper examines the precision of estimators of Quantile-Based Risk Measures
(Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the precision of these ...

Spectral risk measures are attractive risk measures as they allow the user to obtain
risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility ...

Cotter, John; Dowd, Kevin; Morgan, Wyn(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-10-06)

Risk is an inherent feature of agricultural production and marketing and accurate
measurement of it helps inform more efficient use of resources. This paper examines
three tail quantile-based risk measures applied to the ...

This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the
extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng,
and Nikkei225 futures contracts. It then uses tail estimators ...

This paper discusses the financial risks faced by the UK Pension Protection Fund
(PPF) and what, if anything, it can do about them. It draws lessons from the
regulatory regimes under which other financial institutions, ...

We investigate the influence of foreign monetary policy decisions on the volatility
of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of ...

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers
using crude oil futures contracts. ...

This paper examines the volatility and covariance dynamics of cash and futures
contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time
horizons. We examine whether hedge ratios calculated over ...

This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...

Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...

We examine the influence of US and UK macroeconomic and financial variables on Irish stock returns in a nonlinear framework. We allow for time variation via regime switching using a smooth transition
regression (STR) ...

We investigate the influence of international interest rate changes on the Dublin inter bank money market rates (Dibor). Specifically, we analyse the impact of (un)expected changes in German(Euro) area and US policy rates ...

Cotter, John; Dowd, Kevin(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05-18)

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing
2000-2 electronic ...

This paper investigates the degree of both foreign exchange rate and interest rate
exposure of industry level portfolios in the G7. Our paper draws on the efficient market
hypothesis and examines the extent of unexpected ...

We use a very general bivariate GARCH-M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number ...

We examine the evidence of an emerging yen block in North and Southeast Asia using up to 27 years of weekly data on 9 bilateral yen exchange rates. The exchange rate returns are modelled in response to variations in their ...

This paper examines the financing of 117 privately held new technology-based firms (NTBFs) in the Irish software product sector. We advance the high-technology pecking order hypothesis (HTPOH) to explain the dominance of ...